Roubustness Analysis for the Expected Zero Risk Dynamic Hedge Model
碩士 === 銘傳大學 === 財務金融學系 === 86 === Existing hedging models do not perform quite well in reducing spot risk . For example , Myers(1991) applies OLS and GARCH model on wheat market . Both models reduce only about 45% of risk of unhedged position. Another example is the bivariate GARCH estima...
| Main Authors: | , |
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| Format: | Others |
| Language: | zh-TW |
| Published: |
1998
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| Online Access: | http://ndltd.ncl.edu.tw/handle/41515801268574965396 |